| Metric | SPY | GARIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 75.14% | 85.36% |
| CAGR﹪ | 11.95% | 13.24% |
| Sharpe | 0.52 | 0.65 |
| Prob. Sharpe Ratio | 87.67% | 91.72% |
| Smart Sharpe | 0.5 | 0.49 |
| Sortino | 0.75 | 0.92 |
| Smart Sortino | 0.72 | 0.69 |
| Sortino/√2 | 0.53 | 0.65 |
| Smart Sortino/√2 | 0.51 | 0.49 |
| Omega | 1.14 | 1.23 |
| Max Drawdown | -24.5% | -23.15% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-19 |
| Max DD Period End | 2023-12-12 | 2026-04-08 |
| Longest DD Days | 708 | 506 |
| Volatility (ann.) | 17.2% | 14.79% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.49 | 0.57 |
| Skew | 0.33 | -1.17 |
| Kurtosis | 8.97 | 136.54 |
| Ulcer Performance Index | 8.88 | 13.52 |
| Risk-Adjusted Return | 11.95% | 13.65% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.86% | 0.58% |
| Avg. Loss | -0.9% | -0.61% |
| Win/Loss Ratio | 0.95 | 0.94 |
| Profit Ratio | 0.86 | 0.69 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.92% | 1.02% |
| Expected Yearly | 9.79% | 10.83% |
| Kelly Criterion | 4.46% | 8.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.48% |
| Expected Shortfall (cVaR) | -2.58% | -3.18% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.23 |
| Gain/Pain (1M) | 0.79 | 1.54 |
| Payoff Ratio | 0.95 | 0.94 |
| Profit Factor | 1.14 | 1.23 |
| Common Sense Ratio | 1.15 | 1.32 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 1.01 | 1.08 |
| Outlier Win Ratio | 3.4 | 3.35 |
| Outlier Loss Ratio | 3.79 | 3.33 |
| MTD | 1.47% | 0.24% |
| 3M | 1.46% | 3.08% |
| 6M | 7.34% | 9.25% |
| YTD | 13.43% | 15.15% |
| 1Y | 13.53% | 15.9% |
| 3Y (ann.) | 20.88% | 17.61% |
| 5Y (ann.) | 12.9% | 13.15% |
| 10Y (ann.) | 11.95% | 13.24% |
| All-time (ann.) | 11.95% | 13.24% |
| Best Day | 10.5% | 15.12% |
| Worst Day | -5.85% | -16.6% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -9.24% | -5.78% |
| Best Year | 26.18% | 17.73% |
| Worst Year | -18.18% | -5.04% |
| Avg. Drawdown | -1.96% | -1.37% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.59 | 2.9 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.62 |
| Avg. Up Month | 3.88% | 2.96% |
| Avg. Down Month | -4.02% | -2.38% |
| Win Days | 53.48% | 55.48% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.55 |
| Alpha | - | 0.07 |
| Correlation | - | 63.65% |
| Treynor Ratio | - | 155.97% |
| Year | SPY | GARIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 5.31 | 3.07 | + |
| 2022 | -18.18 | -5.04 | 0.28 | + |
| 2023 | 26.18 | 17.73 | 0.68 | - |
| 2024 | 24.89 | 17.62 | 0.71 | - |
| 2025 | 17.72 | 16.24 | 0.92 | - |
| 2026 | 13.43 | 15.15 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-19 | 2026-04-08 | -23.15 | 476 |
| 2022-01-05 | 2023-05-25 | -11.76 | 506 |
| 2023-08-01 | 2023-11-09 | -3.54 | 101 |
| 2024-03-26 | 2024-06-11 | -3.53 | 78 |
| 2026-06-04 | 2026-06-12 | -3.17 | 9 |
| 2024-09-03 | 2024-09-13 | -2.78 | 11 |
| 2026-10-29 | 2026-11-04 | -2.77 | 7 |
| 2024-08-01 | 2024-08-12 | -2.69 | 12 |
| 2024-10-15 | 2024-12-17 | -2.66 | 64 |
| 2026-06-16 | 2026-07-31 | -2.50 | 46 |